Outside of  travers de porc grillé this is my alltime favorite, easy to do and delicious.

 

1 Large carrot, minced
1 Medium-sized onion, minced
2 stalks celery minced
1/4 cup butter (4oz)
  Pinch thyme
1/2 bay leaf
  Salt & pepper to taste
2 Pounds (about 30)raw shrimp in shells
1/4 cup cognac
2 cups dry white wine
3 egg yolks

    Put carrot, onion, and celery in a heavy pan with the 1/4 cup butter, thyme and bay leaf.
Simmer until the vegetables are tender; discard bay leaf and season with salt and pepper.
    Wash shrimp. Split shells down the back and remove sand veins. Loosen shells but do not remove.
Put unshelled shrimp in a sauce pan. Warm cognac, pour over shrimp, and set aflame. When fire dies,
add vegetables and wine. Cover and cook10 minutes.
    Remove shrimp with slotted spoon to a rimmed platter; keep warm. Beat egg yolks with a little of
 the hot sauce in a cup; then stir into the sauce. Cook, stiring constantly
 over very low heat just untill thick (don't boil); Pour over shrimp.
4-6 servings